Open up the Budget page by navigating to Budget under the Budget Tools menu.
Budget Tools Menu

You can click on the the "Suggest" link and it will suggest a budget based on the last three months of transaction history, or you can click on "Setup" to set up your budget manually:

Set up Budget and Suggest a Budget

You can also click on the "Edit" button next to each category and input your monthly budget amount. Also add any keyword rules you wish to add for the given category:

Set up Budget2

Budget Edit Category

Click "Save" when finished.